[R-SIG-Finance] Chi-sq Hausman test---R vs Stata

spencerg spencer.graves at prodsyse.com
Mon May 18 16:27:37 CEST 2009

      When different methods give different answers for ostensibly the 
same problem, it suggests that there is a difference in assumptions or a 
bug.  I suggest you write down the different models and try to 
understand what is different about them that might give different results. 

      If this procedure does not lead to enlightenment, please submit 
another post but include commented, minimal, self-contained, 
reproducible code, as suggested in the posting guide 

      If you'd like to see what else is available in R, you might try 
"RSiteSearch.function", something like the following: 

Hausman <- RSiteSearch.function('Hausman')

ptsr <- RSiteSearch.function('panel time series regression')

      Hope this helps. 
      Spencer Graves

Steven Archambault wrote:
> Hi all,
> I am running a panel time series regression testing Fixed Effects and Random
> Effects. I decided to calculate the chi-sq value for the Hausman test in
> both R (Phtest) and Stata. I get different results. Even within Stata,
> calculating the Chi-sq value with the canned procedure or by hand (using
> matrices) gives different results. So, the question should come up there as
> well.
> Does anybody have any insight on how to pick which results to use? I guess
> the one that gives the result I want? Having different programs give quite
> different values for the same tests is frustrating me.  I'd be interested in
> any feedback folks have!
> Thanks,
> Steve
> 	[[alternative HTML version deleted]]
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